I think you know the answer already and are seeking confirmation.
No, from your facts, you haven't had a visa denied.
A prospective employer had THEIR PETITION denied.
With that said, don't submit this until you talk to your current company's immigration lawyer, not a non-attorney in HR.
PROFESSOR OF IMMIGRATION LAW for over 10 years -- firstname.lastname@example.org -- www.capriotti.com -- This blog posting is offered for informational purposes only. It does not constitute an attorney-client relationship. Also, keep in mind that this is an INTERNET BLOG. You should not rely on anything you read here to make decisions which impact on your life. Meet with an attorney, via Skype, or in person, to obtain competent personal and professional guidance.
You should talk to the company's attorney, but the answer is most like "no." You haven't had a visa denied; the prospective employer has had a petition denied.
This is not legal advice and no attorney-client relationship has been formed, now or in the future. This is just a casual opinion expressed about a hypothetical situation.